Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab® codes)

A Semi-Analytical method for pricing of Barrier Options (SABO) is presented. The method is based on the foundations of Boundary Integral Methods which is recast here for the application to barrier option pricing in the Black-Scholes model with time-dependent interest rate, volatility and dividend yield. The validity of the numerical method is illustrated by several numerical examples and comparisons.

Język:: Angielski

Częstotliwość wydawania:: 1 razy w roku
Dziedziny czasopisma:: Matematyka, Matematyka numeryczna i obliczeniowa, Matematyka stosowana

Kanał RSS czasopisma

Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab® codes)

C. Guardasoni

Data publikacji: 24 mar 2018

Zakres stron: 42 - 67

Otrzymano: 12 sty 2017

Przyjęty: 02 lut 2018

DOI: https://doi.org/10.1515/caim-2018-0004

Słowa kluczoweBoundary Element Method, Black-Scholes, Barrier Options, Greeks, Time-Dependent Parameters, Integral Equations

© 2018

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Semi-Analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab^® codes)

Słowa kluczowe
Boundary Element Method, Black-Scholes, Barrier Options, Greeks, Time-Dependent Parameters, Integral Equations